Tighter Variational Representations of f-Divergences via Restriction to Probability Measures

Understand

We show that the variational representations for f-divergences currently used in the literature can be tightened.

• This has implications to a number of methods recently proposed based on this representation.
• As an example application we use our tighter representation to derive a general f-divergence estimator based on two i.i.d.
• samples and derive the dual program for this estimator that performs well empirically.